Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
Interacting Particle Systems for Systemic Risk
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<strong>Systemic</strong> <strong>Risk</strong>: Motivation Stochastic Model Simulating <strong>Systemic</strong> Shocks Examples of Rare EventsRelated LiteratureNetwork models: Cont et al. (2011a,b)Scaling Limits of Large Portfolio Losses: Giesecke et al. (2011),Cvitanic et al. (2011)Large deviations approaches: Giesecke et al. (2011),Papanicolaou (2012)<strong>Interacting</strong> diffusions: Ichiba and Fouque (2011), Fouque and Sun(2012)4Ludkovski<strong>Systemic</strong> <strong>Risk</strong>
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